This is machine translation

Translated by

Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

Black-Derman-Toy Tree Analysis

Price and analyze Black-Derman-Toy interest-rate instrument

Functions

`bdtprice`	Instrument prices from Black-Derman-Toy interest-rate tree
`bdtsens`	Instrument prices and sensitivities from Black-Derman-Toy interest-rate tree
`bondbybdt`	Price bond from Black-Derman-Toy interest-rate tree
`capbybdt`	Price cap instrument from Black-Derman-Toy interest-rate tree
`cfbybdt`	Price cash flows from Black-Derman-Toy interest-rate tree
`fixedbybdt`	Price fixed-rate note from Black-Derman-Toy interest-rate tree
`floatbybdt`	Price floating-rate note from Black-Derman-Toy interest-rate tree
`floorbybdt`	Price floor instrument from Black-Derman-Toy interest-rate tree
`mmktbybdt`	Create money-market tree from Black-Derman-Toy interest-rate tree
`oasbybdt`	Determine option adjusted spread using Black-Derman-Toy model
`optbndbybdt`	Price bond option from Black-Derman-Toy interest-rate tree
`optfloatbybdt`	Price options on floating-rate notes for Black-Derman-Toy interest-rate tree
`optembndbybdt`	Price bonds with embedded options by Black-Derman-Toy interest-rate tree
`optemfloatbybdt`	Price embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
`rangefloatbybdt`	Price range floating note using Black-Derman-Toy tree
`swapbybdt`	Price swap instrument from Black-Derman-Toy interest-rate tree
`swaptionbybdt`	Price swaption from Black-Derman-Toy interest-rate tree
`derivget`	Get derivatives pricing options
`derivset`	Set or modify derivatives pricing options

Examples and How To

Pricing Using Interest-Rate Tree Models

The portfolio pricing functions hjmprice and bdtprice calculate the price of any set of supported instruments, based on an interest-rate tree.

Computing Instrument Sensitivities

The delta, gamma, and vega sensitivities that Financial Instruments Toolbox™ computes are dollar sensitivities.

Pricing Options Structure

The MATLAB^® Options structure provides additional input to most pricing functions.

Pricing a Portfolio Using the Black-Derman-Toy Model

This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.

Concepts

Interest-Rate Tree Models

Overview of Interest-Rate Tree Models

Financial Instruments Toolbox computes prices and sensitivities of interest-rate contingent claims based on several methods of modeling changes in interest rates over time.

Understanding Interest-Rate Tree Models

Financial Instruments Toolbox supports the Black-Derman-Toy (BDT), Black-Karasinski (BK), Heath-Jarrow-Morton (HJM), and Hull-White (HW) interest-rate models.

Interest-Rate Instruments

Supported Interest-Rate Instruments

Interest-rate instruments supported by Financial Instruments Toolbox.